한국은행 기준금리 정책에 미치는 국내외 요인의 영향분석

This study examines the autonomy of the Bank of Korea's monetary policy by analyzing the relative influence of domestic economic variables and U.S. interest rate decisions, as well as the sensitivity of the Bank of Korea's monetary policy to domestic and foreign policy uncertainty. The analysis utilizes monthly data from September 2012 to January 2024, incorporating U.S. interest rates (Fed funds rate, 10-year Treasury bond yield), Korean interest rates (Bank of Korea base rate, 1-year call rate, 10-year Treasury bond yield), domestic economic variables (cyclical component of the coincident composite index, consumer price index, Korean won/U.S. dollar exchange rate, income terms of trade), and Korean policy uncertainty indices (economic, monetary, and exchange rate policy uncertainty indices). The primary methodology employed is Transfer Entropy (TE), grounded in information theory, to measure the direction and strength of information flow between variables. Additionally, an EGARCH model is utilized to conduct further analysis considering the volatility of the variables, thereby re-examining the results. The findings reveal that the influence of U.S. interest rates on the Bank of Korea's base rate decisions is relatively smaller compared to that of domestic economic variables and policy uncertainty indices. Notably, the influence of U.S. interest rates exhibits a decreasing trend over time relative to domestic economic variables and policy uncertainty indices. This suggests a recent strengthening of the autonomy of the Bank of Korea's monetary policy. Through TE analysis and the EGARCH model, this study provides empirical evidence that the Bank of Korea operates an independent monetary policy, prioritizing domestic economic conditions.